2020-21
All are welcome.
Unless otherwise specified, the Stochastic Finance seminar takes place on Friday at 2pm (London time) via MS Teams.
1. Warwick Stochastic Finance Seminar: the code for people to join the Teams directly: jwk7y4n
2. Note that there has been some security issues with Zoom, so the university has prohibited to run (internal) seminars via Zoom.
| Term 1 |
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| 16 Oct 2020 | Ruodu WangLink opens in a new window (University of Waterloo) |
| An axiomatic foundation for the Expected ShortfallLink opens in a new window | |
| 23 Oct 2020 | Moris StrubLink opens in a new window (Southern University of Science and TechnologyLink opens in a new window) |
|
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion |
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| 30 Oct 2020 | Jorge Gonzalez CazaresLink opens in a new window (Warwick) |
| Monte Carlo methods for the extrema of Levy models | |
| 13 Nov 2020 | Daniel Lacker (Columbia University) |
| Local stochastic volatility models and inverting the Markovian projection | |
| 20 Nov 2020 | Xiaofei ShiLink opens in a new window (Columbia University) |
| Liquidity Risk and Asset Pricing | |
| 27 Nov 2020 | Joseph JeromeLink opens in a new window (Warwick) |
| Infinite Horizon Stochastic Differential Utility |
| Term 2 | |
| 29 Jan 2021 | Jean-Francois ChassagneuxLink opens in a new window (Université de Paris) |
| Modeling carbon markets using Forward-Backward SDEs | |
| 2 Feb 2021 (unusual time!) | Yufei Zhang (Oxford University) |
| Deep neural network approximations to stochastic control problems | |
| 12 Feb 2021 | Said HamadeneLink opens in a new window (Le Mans Université) |
| Mean-field reflected backward stochastic differential equations | |
| 19 Feb 2021 | Eduardo DavilaLink opens in a new window (Yale University) |
| Optimal Financial Transaction Taxes | |
| 26 Feb 2021 | Bahman AngoshtariLink opens in a new window (University of Miami) |
| Optimal Consumption under a Habit-Formation Constraint | |
| 5 Mar 2021 | Dylan Possamai (ETH) |
| Time-inconsistent control and backward integral Volterra SDEs |
| Term 3 | |
| 28 April 2021 (3-4PM) | Erhan Bayraktar (University of Michigan) |
| Department Colloquium | |
| 7 May 2021 | Masaaki Fukasawa (Osaka University) |
| Volatility has to be rough | |
| 14 May 2021 | Xun Li (Hong Kong Polytechnic University) |
| An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon | |
| 21 May 2021 | Miryana Grigorova (University of Leeds) |
| Pricing and hedging of options in non-linear incomplete financial market modelsLink opens in a new window | |
| 28 May 2021 | Giorgio Ferrari (Bielefeld University) |
| TWO-SIDED SINGULAR CONTROL OF AN INVENTORY WITH UNKNOWN DEMAND TREND | |
| 4 June 2021 | Stefan Ankirchner (University of Jena) |
| The De Vylder-Goovaerts conjecture holds true within the diffusion limit |
For further information, please contact the seminar organiser Gechun Liang.